Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances
DOI10.1016/0167-9473(86)90031-9zbMath0625.62079OpenAlexW1990260677MaRDI QIDQ579812
Publication date: 1986
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-9473(86)90031-9
serial correlationstructural parameterssimultaneous equation modelasymptotically efficient estimationautoregressive error termsrecursive instrumental variable algorithm
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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